stream-ingest flat files from polygon; add a few tables

10 months ago · cb7dbc29e8
parent c6e5c76952
commit cb7dbc29e8
4 changed files with 403 additions and 44 deletions
--- a/server/package.json
+++ b/server/package.json
@ -9,10 +9,12 @@
 	},
 	"dependencies": {
 		"@clickhouse/client": "^0.2.7",
+		"@humanwhocodes/env": "^3.0.5",
 		"@sinclair/typebox": "^0.32.5",
 		"@trpc/server": "^10.45.0",
 		"cors": "^2.8.5",
 		"dotenv": "^16.4.1",
+		"execa": "^9.3.0",
 		"p-all": "^5.0.0",
 		"p-queue": "^8.0.1",
 		"p-retry": "^6.2.0",
--- a/server/pnpm-lock.yaml
+++ b/server/pnpm-lock.yaml
@ -11,6 +11,9 @@ importers:
      '@clickhouse/client':
        specifier: ^0.2.7
        version: 0.2.7
+      '@humanwhocodes/env':
+        specifier: ^3.0.5
+        version: 3.0.5
      '@sinclair/typebox':
        specifier: ^0.32.5
        version: 0.32.5
@ -23,6 +26,9 @@ importers:
      dotenv:
        specifier: ^16.4.1
        version: 16.4.1
+      execa:
+        specifier: ^9.3.0
+        version: 9.3.0
      p-all:
        specifier: ^5.0.0
        version: 5.0.0
@ -211,6 +217,9 @@ packages:
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    resolution: {integrity: sha512-k2Ty1JcVojjJFwrg/ThKi2ujJ7XNLYaFGNB/bWT9wGR+oSMJHMa5w+CUq6p/pVrKeNNgA7pCqEcjSnHVoqJQFw==}

+  '@humanwhocodes/env@3.0.5':
+    resolution: {integrity: sha512-IpnujSwQ93i/amSy4GoynqaOAjbYKAI1b28JmPogfEytAh2aSjOE2ZlFnOAuXHUt3OQA41RvU0JL4lzTnVKeIw==}
+
  '@npmcli/fs@1.1.1':
    resolution: {integrity: sha512-8KG5RD0GVP4ydEzRn/I4BNDuxDtqVbOdm8675T49OIG/NGhaK0pjPX7ZcDlvKYbA+ulvVK3ztfcF4uBdOxuJbQ==}

@ -219,9 +228,16 @@ packages:
    engines: {node: '>=10'}
    deprecated: This functionality has been moved to @npmcli/fs

+  '@sec-ant/readable-stream@0.4.1':
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+
  '@sinclair/typebox@0.32.5':
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+  '@sindresorhus/merge-streams@4.0.0':
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+    engines: {node: '>=18'}
+
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@ -344,6 +360,10 @@ packages:
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    engines: {node: '>=4.8'}

+  cross-spawn@7.0.3:
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+    engines: {node: '>= 8'}
+
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    engines: {node: '>=6.0'}
@ -423,10 +443,18 @@ packages:
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+  execa@9.3.0:
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+    engines: {node: ^18.19.0 || >=20.5.0}
+
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    engines: {node: '>=6'}

+  figures@6.1.0:
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+    engines: {node: '>=18'}
+
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    resolution: {integrity: sha512-0Zt+s3L7Vf1biwWZ29aARiVYLx7iMGnEUl9x33fbB/j3jR81u/O2LbqK+Bm1CDSNDKVtJ/YjwY7TUd5SkeLQLw==}

@ -461,6 +489,10 @@ packages:
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+  get-stream@9.0.1:
+    resolution: {integrity: sha512-kVCxPF3vQM/N0B1PmoqVUqgHP+EeVjmZSQn+1oCRPxd2P21P2F19lIgbR3HBosbB1PUhOAoctJnfEn2GbN2eZA==}
+    engines: {node: '>=18'}
+
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@ -525,6 +557,10 @@ packages:
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    engines: {node: '>= 6'}

+  human-signals@7.0.0:
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+    engines: {node: '>=18.18.0'}
+
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@ -607,6 +643,10 @@ packages:
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    engines: {node: '>= 0.4'}

+  is-plain-obj@4.1.0:
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+    engines: {node: '>=12'}
+
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    engines: {node: '>= 0.4'}
@ -614,6 +654,10 @@ packages:
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+  is-stream@4.0.1:
+    resolution: {integrity: sha512-Dnz92NInDqYckGEUJv689RbRiTSEHCQ7wOVeALbkOz999YpqT46yMRIGtSNl2iCL1waAZSx40+h59NV/EwzV/A==}
+    engines: {node: '>=18'}
+
  is-string@1.0.7:
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@ -626,6 +670,10 @@ packages:
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    engines: {node: '>= 0.4'}

+  is-unicode-supported@2.0.0:
+    resolution: {integrity: sha512-FRdAyx5lusK1iHG0TWpVtk9+1i+GjrzRffhDg4ovQ7mcidMQ6mj+MhKPmvh7Xwyv5gIS06ns49CA7Sqg7lC22Q==}
+    engines: {node: '>=18'}
+
  is-weakref@1.0.2:
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@ -749,6 +797,10 @@ packages:
    engines: {node: '>= 4'}
    hasBin: true

+  npm-run-path@5.3.0:
+    resolution: {integrity: sha512-ppwTtiJZq0O/ai0z7yfudtBpWIoxM8yE6nHi1X47eFR2EWORqfbu6CnPlNsjeN683eT0qG6H/Pyf9fCcvjnnnQ==}
+    engines: {node: ^12.20.0 || ^14.13.1 || >=16.0.0}
+
  npmlog@6.0.2:
    resolution: {integrity: sha512-/vBvz5Jfr9dT/aFWd0FIRf+T/Q2WBsLENygUaFUqstqsycmZAP/t5BvFJTK0viFmSUxiUKTUplWy5vt+rvKIxg==}
    engines: {node: ^12.13.0 || ^14.15.0 || >=16.0.0}
@ -808,6 +860,10 @@ packages:
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    engines: {node: '>=4'}

+  parse-ms@4.0.0:
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+    engines: {node: '>=18'}
+
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    engines: {node: '>=4'}

+  path-key@3.1.1:
+    resolution: {integrity: sha512-ojmeN0qd+y0jszEtoY48r0Peq5dwMEkIlCOu6Q5f41lfkswXuKtYrhgoTpLnyIcHm24Uhqx+5Tqm2InSwLhE6Q==}
+    engines: {node: '>=8'}
+
+  path-key@4.0.0:
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+    engines: {node: '>=12'}
+
  path-parse@1.0.7:
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@ -837,6 +901,10 @@ packages:
    engines: {node: '>=10'}
    hasBin: true

+  pretty-ms@9.0.0:
+    resolution: {integrity: sha512-E9e9HJ9R9NasGOgPaPE8VMeiPKAyWR5jcFpNnwIejslIhWqdqOrb2wShBsncMPUb+BcCd2OPYfh7p2W6oemTng==}
+    engines: {node: '>=18'}
+
  promise-inflight@1.0.1:
    resolution: {integrity: sha512-6zWPyEOFaQBJYcGMHBKTKJ3u6TBsnMFOIZSa6ce1e/ZrrsOlnHRHbabMjLiBYKp+n44X9eUI6VUPaukCXHuG4g==}
    peerDependencies:
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    engines: {node: '>=0.10.0'}

+  shebang-command@2.0.0:
+    resolution: {integrity: sha512-kHxr2zZpYtdmrN1qDjrrX/Z1rR1kG8Dx+gkpK1G4eXmvXswmcE1hTWBWYUzlraYw1/yZp6YuDY77YtvbN0dmDA==}
+    engines: {node: '>=8'}
+
  shebang-regex@1.0.0:
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    engines: {node: '>=0.10.0'}

+  shebang-regex@3.0.0:
+    resolution: {integrity: sha512-7++dFhtcx3353uBaq8DDR4NuxBetBzC7ZQOhmTQInHEd6bSrXdiEyzCvG07Z44UYdLShWUyXt5M/yhz8ekcb1A==}
+    engines: {node: '>=8'}
+
  shell-quote@1.8.1:
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@ -935,6 +1011,10 @@ packages:
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+  signal-exit@4.1.0:
+    resolution: {integrity: sha512-bzyZ1e88w9O1iNJbKnOlvYTrWPDl46O1bG0D3XInv+9tkPrxrN8jUUTiFlDkkmKWgn1M6CfIA13SuGqOa9Korw==}
+    engines: {node: '>=14'}
+
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@ -1007,6 +1087,10 @@ packages:
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    engines: {node: '>=4'}

+  strip-final-newline@4.0.0:
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+    engines: {node: '>=18'}
+
  strip-json-comments@2.0.1:
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    engines: {node: '>=0.10.0'}
@ -1100,6 +1184,10 @@ packages:
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+  yoctocolors@2.1.0:
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+    engines: {node: '>=18'}
+
 snapshots:

  '@clickhouse/client-common@0.2.7': {}
@ -1180,6 +1268,8 @@ snapshots:
  '@gar/promisify@1.1.3':
    optional: true

+  '@humanwhocodes/env@3.0.5': {}
+
  '@npmcli/fs@1.1.1':
    dependencies:
      '@gar/promisify': 1.1.3
@ -1192,8 +1282,12 @@ snapshots:
      rimraf: 3.0.2
    optional: true

+  '@sec-ant/readable-stream@0.4.1': {}
+
  '@sinclair/typebox@0.32.5': {}

+  '@sindresorhus/merge-streams@4.0.0': {}
+
  '@tootallnate/once@1.1.2':
    optional: true

@ -1357,6 +1451,12 @@ snapshots:
      shebang-command: 1.2.0
      which: 1.3.1

+  cross-spawn@7.0.3:
+    dependencies:
+      path-key: 3.1.1
+      shebang-command: 2.0.0
+      which: 2.0.2
+
  debug@4.3.5:
    dependencies:
      ms: 2.1.2
@ -1493,8 +1593,27 @@ snapshots:

  eventemitter3@5.0.1: {}

+  execa@9.3.0:
+    dependencies:
+      '@sindresorhus/merge-streams': 4.0.0
+      cross-spawn: 7.0.3
+      figures: 6.1.0
+      get-stream: 9.0.1
+      human-signals: 7.0.0
+      is-plain-obj: 4.1.0
+      is-stream: 4.0.1
+      npm-run-path: 5.3.0
+      pretty-ms: 9.0.0
+      signal-exit: 4.1.0
+      strip-final-newline: 4.0.0
+      yoctocolors: 2.1.0
+
  expand-template@2.0.3: {}

+  figures@6.1.0:
+    dependencies:
+      is-unicode-supported: 2.0.0
+
  file-uri-to-path@1.0.0: {}

  for-each@0.3.3:
@ -1540,6 +1659,11 @@ snapshots:
      has-symbols: 1.0.3
      hasown: 2.0.0

+  get-stream@9.0.1:
+    dependencies:
+      '@sec-ant/readable-stream': 0.4.1
+      is-stream: 4.0.1
+
  get-symbol-description@1.0.0:
    dependencies:
      call-bind: 1.0.5
@ -1612,6 +1736,8 @@ snapshots:
      - supports-color
    optional: true

+  human-signals@7.0.0: {}
+
  humanize-ms@1.2.1:
    dependencies:
      ms: 2.1.3
@ -1696,6 +1822,8 @@ snapshots:
    dependencies:
      has-tostringtag: 1.0.0

+  is-plain-obj@4.1.0: {}
+
  is-regex@1.1.4:
    dependencies:
      call-bind: 1.0.5
@ -1705,6 +1833,8 @@ snapshots:
    dependencies:
      call-bind: 1.0.5

+  is-stream@4.0.1: {}
+
  is-string@1.0.7:
    dependencies:
      has-tostringtag: 1.0.0
@ -1717,6 +1847,8 @@ snapshots:
    dependencies:
      which-typed-array: 1.1.13

+  is-unicode-supported@2.0.0: {}
+
  is-weakref@1.0.2:
    dependencies:
      call-bind: 1.0.5
@ -1879,6 +2011,10 @@ snapshots:
      shell-quote: 1.8.1
      string.prototype.padend: 3.1.5

+  npm-run-path@5.3.0:
+    dependencies:
+      path-key: 4.0.0
+
  npmlog@6.0.2:
    dependencies:
      are-we-there-yet: 3.0.1
@ -1937,11 +2073,17 @@ snapshots:
      error-ex: 1.3.2
      json-parse-better-errors: 1.0.2

+  parse-ms@4.0.0: {}
+
  path-is-absolute@1.0.1:
    optional: true

  path-key@2.0.1: {}

+  path-key@3.1.1: {}
+
+  path-key@4.0.0: {}
+
  path-parse@1.0.7: {}

  path-type@3.0.0:
@ -1967,6 +2109,10 @@ snapshots:
      tar-fs: 2.1.1
      tunnel-agent: 0.6.0

+  pretty-ms@9.0.0:
+    dependencies:
+      parse-ms: 4.0.0
+
  promise-inflight@1.0.1:
    optional: true

@ -2064,8 +2210,14 @@ snapshots:
    dependencies:
      shebang-regex: 1.0.0

+  shebang-command@2.0.0:
+    dependencies:
+      shebang-regex: 3.0.0
+
  shebang-regex@1.0.0: {}

+  shebang-regex@3.0.0: {}
+
  shell-quote@1.8.1: {}

  side-channel@1.0.4:
@ -2077,6 +2229,8 @@ snapshots:
  signal-exit@3.0.7:
    optional: true

+  signal-exit@4.1.0: {}
+
  simple-concat@1.0.1: {}

  simple-get@4.0.1:
@ -2181,6 +2335,8 @@ snapshots:

  strip-bom@3.0.0: {}

+  strip-final-newline@4.0.0: {}
+
  strip-json-comments@2.0.1: {}

  supports-color@5.5.0:
@ -2297,7 +2453,6 @@ snapshots:
  which@2.0.2:
    dependencies:
      isexe: 2.0.0
-    optional: true

  wide-align@1.1.5:
    dependencies:
@ -2307,3 +2462,5 @@ snapshots:
  wrappy@1.0.2: {}

  yallist@4.0.0: {}
+
+  yoctocolors@2.1.0: {}
--- a/server/src/lib/sync.ts
+++ b/server/src/lib/sync.ts
@ -4,6 +4,17 @@ import { open } from "sqlite";
 import { clickhouse, query } from "./clickhouse.js";
 import { OptionContract } from "./polygon.js";
 import pRetry from "p-retry";
+import { createReadStream } from "node:fs";
+import zlib from "node:zlib";
+import { Transform, Writable } from "stream";
+import { pipeline } from "stream/promises";
+import { execa } from "execa";
+import { rm } from "node:fs/promises";
+import { Env } from "@humanwhocodes/env";
+
+const env = new Env();
+
+const { POLYGON_S3_ACCESS_KEY_ID, POLYGON_S3_SECRET_ACCESS_KEY } = env.required;

 const sqliteDb = await open({
  filename: "/tmp/sync-state.db",
@ -263,3 +274,162 @@ export async function getOptionContractDateRange({
  `);
  return rows[0] || { firstDate: null, lastDate: null };
 }
+
+function transformCsvLineToObject(line: string) {
+  const [
+    ticker,
+    volume,
+    open,
+    close,
+    high,
+    low,
+    window_start,
+    numberOfTransactions,
+  ] = line.split(",");
+  const symbol = ticker.substring(2, ticker.length - 15);
+  const tickerDate = ticker.substring(ticker.length - 15, ticker.length - 9);
+  const expirationDate = `20${tickerDate.substring(
+    0,
+    2
+  )}-${tickerDate.substring(2, 4)}-${tickerDate.substring(4)}`;
+  const type =
+    ticker.substring(ticker.length - 9, ticker.length - 8) === "C"
+      ? "call"
+      : "put";
+  const strike = parseInt(ticker.substring(ticker.length - 8)) / 1000;
+  /** UNIX time in seconds */
+  const tsStart = parseInt(window_start.substring(0, window_start.length - 9));
+  return {
+    symbol,
+    expirationDate,
+    strike,
+    type,
+    tsStart,
+    open,
+    close,
+    low,
+    high,
+    volume,
+    volumeWeightedPrice: 0,
+  };
+}
+
+export async function uploadCsvToClickhouse(filename: string) {
+  let buf = "";
+  for await (const chunk of createReadStream(filename, {
+    start: 60 /* skip header */,
+    highWaterMark: 1024 * 1024,
+  })) {
+    const lines = buf.concat(chunk).split(/\r?\n/);
+    buf = lines.pop() ?? "";
+
+    await clickhouse.insert({
+      table: "option_contract_aggregates",
+      values: lines.map(transformCsvLineToObject),
+      format: "JSONEachRow",
+    });
+  }
+  if (buf.length) {
+    // last line, if file does not end with newline
+    await clickhouse.insert({
+      table: "option_contract_aggregates",
+      values: [transformCsvLineToObject(buf)],
+      format: "JSONEachRow",
+    });
+  }
+}
+
+const accessKeyId = POLYGON_S3_ACCESS_KEY_ID;
+const secretAccessKey = POLYGON_S3_SECRET_ACCESS_KEY;
+// const X_Amz_Algorithm = "AWS4-HMAC-SHA256";
+// const X_Amz_Credential =
+//   "bfe011b0-01e7-4c16-aedf-52cb83722c36/20240702/us-east-1/s3/aws4_request";
+// const X_Amz_Expires = "900";
+// const X_Amz_SignedHeaders = "host";
+// const X_Amz_Signature =
+//   "e9fd0ac569c4d5fd5757ba4104e95ce4cfd0c17b16648ec32f978265d4188f37";
+export async function ingestOptionContractAggregateFlatfile(date: string) {
+  let buf = "";
+  let skippedFirstLine = false;
+  const [year, month, day] = date.split("-");
+  const localFilename = `/tmp/${date}.csv.gz`;
+  try {
+    await execa({
+      env: {
+        AWS_ACCESS_KEY_ID: accessKeyId,
+        AWS_SECRET_ACCESS_KEY: secretAccessKey,
+        S3_ENDPOINT_URL: "https://files.polygon.io",
+        AWS_REGION: "us-east-1",
+      },
+    })("s5cmd", [
+      "cp",
+      `s3://flatfiles/us_options_opra/minute_aggs_v1/${year}/${month}/${date}.csv.gz`,
+      localFilename,
+    ]);
+  } catch (err) {
+    return;
+    // if (err.includes("status code: 404")) {
+    //   return;
+    // } else {
+    //   console.error("error downloading flatfile from polygon s3", err);
+    //   throw err;
+    // }
+  }
+
+  try {
+    await pipeline(
+      createReadStream(localFilename, {
+        highWaterMark: 1024 * 1024,
+      }),
+      zlib.createGunzip(),
+      new Transform({
+        transform(chunk, encoding, next) {
+          const lines = buf.concat(chunk).split(/\r?\n/);
+          if (!skippedFirstLine) {
+            lines.shift();
+            skippedFirstLine = true;
+          }
+          buf = lines.pop();
+          next(null, lines);
+        },
+        objectMode: true,
+      }),
+      new Writable({
+        objectMode: true,
+        async write(lines, encoding, next) {
+          // console.log(lines.map(transformCsvLineToObject));
+          await clickhouse.insert({
+            table: "option_contract_aggregates",
+            values: lines.map(transformCsvLineToObject),
+            format: "JSONEachRow",
+          });
+          next();
+        },
+      })
+    );
+  } catch (err) {
+    console.error(err);
+  }
+  await rm(localFilename);
+  console.log("done");
+}
+
+export async function pullOptionContractAggregatesFromFlatFileSince(
+  firstDate: string,
+  lastDate?: string
+) {
+  const currentDateAsDateObject = new Date(firstDate);
+  const yesterdayAsDateObject = new Date();
+  yesterdayAsDateObject.setUTCDate(yesterdayAsDateObject.getUTCDate() - 1);
+  const lastDateAsDateObject = lastDate
+    ? new Date(lastDate)
+    : yesterdayAsDateObject;
+  while (currentDateAsDateObject <= lastDateAsDateObject) {
+    const currentDate = currentDateAsDateObject.toISOString().substring(0, 10);
+    console.log(`Date: ${currentDate}`);
+    await ingestOptionContractAggregateFlatfile(currentDate);
+    currentDateAsDateObject.setUTCDate(
+      currentDateAsDateObject.getUTCDate() + 1
+    );
+  }
+}
--- a/server/tables.sql
+++ b/server/tables.sql
@ -12,16 +12,7 @@ CREATE TABLE symbols
 ENGINE MergeTree()
 ORDER BY (symbol);

-CREATE TABLE option_contract_sync_statuses
-(
-  symbol String,
-  asOfDate Date,
-  status ENUM('not-started','pending','done')
-)
-ENGINE MergeTree()
-ORDER BY (asOfDate, symbol);
-
-CREATE TABLE option_contracts
+CREATE TABLE option_contract_existences
 (
  asOfDate Date,
  symbol LowCardinality(String),
@ -29,60 +20,39 @@ CREATE TABLE option_contracts
  strike Float32,
  type ENUM('call', 'put')
 )
-ENGINE MergeTree()
+ENGINE ReplacingMergeTree()
 PRIMARY KEY (asOfDate, symbol)
 ORDER BY (asOfDate, symbol, expirationDate, strike, type);

-
-- BEGIN: Option Contract Quotes
-CREATE TABLE option_aggregate_sync_statuses
+CREATE TABLE option_contracts
 (
-  asOfDate Date,
  symbol LowCardinality(String),
  expirationDate Date,
  strike Float32,
-  type ENUM('call', 'put'),
-  status ENUM('not-started','pending','done'),
-  ts DateTime64 DEFAULT now()
+  type ENUM('call', 'put')
 )
-ENGINE MergeTree()
-ORDER BY (asOfDate, symbol, expirationDate, strike, type, ts);
-CREATE MATERIALIZED VIEW option_aggregate_sync_statuses_mv
-TO option_aggregate_sync_statuses
+ENGINE ReplacingMergeTree()
+PRIMARY KEY (symbol, expirationDate)
+ORDER BY (symbol, expirationDate, strike, type);
+
+CREATE MATERIALIZED VIEW option_contracts_mv
+TO option_contracts
 AS
 SELECT
  DISTINCT ON (
-    asOfDate,
    symbol,
    expirationDate,
    strike,
    type
  )
-  asOfDate,
  symbol,
  expirationDate,
  strike,
-  type,
-  'not-started' as status,
-  now() as ts
-FROM option_contracts;
+  type
+FROM option_contract_existences;

-CREATE TABLE amg_option_aggregate_sync_statuses (
-  asOfDate Date,
-  symbol LowCardinality(String),
-  expirationDate Date,
-  strike Float32,
-  type ENUM('call', 'put'),
-  status SimpleAggregateFunction(anyLast, ENUM('not-started','pending','done')),
-  ts DateTime64 DEFAULT now()
-) 
-ENGINE=AggregatingMergeTree 
-ORDER BY (asOfDate, symbol, expirationDate, strike, type);

-INSERT INTO amg_option_aggregate_sync_statuses
-SELECT asOfDate, symbol, expirationDate, strike, type, status, ts 
-FROM option_aggregate_sync_statuses 
-ORDER BY asOfDate, symbol, expirationDate, strike, type, ts;
+-- BEGIN: Option Contract Quotes

 -- END: Option Contract Quotes

@ -122,6 +92,66 @@ ALTER TABLE option_aggregates ADD INDEX idx_expirationDate expirationDate TYPE m
 ALTER TABLE option_aggregates ADD INDEX idx_strike strike TYPE minmax GRANULARITY 2;
 ALTER TABLE option_aggregates ADD INDEX idx_tsStart tsStart TYPE minmax GRANULARITY 2;

+CREATE TABLE option_contract_aggregates
+(
+  symbol LowCardinality(String), 
+  expirationDate Date,
+  strike Float32,
+  type Enum('call', 'put'),
+
+  tsStart DateTime32 CODEC(DoubleDelta(1), ZSTD),
+  open Float32 CODEC(Delta(2), ZSTD), 
+  close Float32 CODEC(Delta(2), ZSTD), 
+  low Float32 CODEC(Delta(2), ZSTD), 
+  high Float32 CODEC(Delta(2), ZSTD), 
+  volume UInt32 CODEC(T64),
+  volumeWeightedPrice Float32 CODEC(Delta(2), ZSTD)
+)
+ENGINE ReplacingMergeTree()
+ORDER BY (symbol, expirationDate, strike, type, tsStart)
+
+CREATE TABLE option_histories_last_day
+(
+  symbol LowCardinality(String), 
+  expirationDate Date,
+  strike Float64,
+  type Enum('call', 'put'),
+
+  tsStart DateTime32,
+  open Float64,
+  minutesToFront UInt16,
+  underlyingPrice Float64,
+  strikePercentageFromUnderlyingPrice Float64
+)
+ENGINE MergeTree()
+ORDER BY (symbol, minutesToFront, strikePercentageFromUnderlyingPrice)
+
+INSERT INTO option_histories_last_day
+SELECT
+  option_aggregates.symbol as symbol, 
+  option_aggregates.expirationDate as expirationDate,
+  option_aggregates.strike as strike,
+  option_aggregates.type as type,
+  option_aggregates.tsStart as tsStart,
+  option_aggregates.open as open,
+  date_diff('minute', tsStart, timestamp_add(expirationDate, INTERVAL 16 HOUR)) as minutesToFront,
+  stock_aggregates.open as underlyingPrice Float64,
+  (strike-underlyingPrice)/underlyingPrice as strikePercentageFromUnderlyingPrice Float64
+FROM (
+  SELECT 
+    symbol,
+    expirationDate,
+    strike,
+    type,
+    tsStart,
+    open
+  FROM option_aggregates
+  WHERE toDate(tsStart) = expirationDate
+) as option_aggregates
+INNER JOIN stock_aggregates
+ON option_aggregates.symbol = stock_aggregates.symbol
+AND option_aggregates.tsStart = stock_aggregates.tsStart
+
 CREATE TABLE option_histories
 (
  symbol LowCardinality(String),